| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo, Wei Yu | en_US |
| dc.contributor.author (Authors) | 張孟溢 | zh_TW |
| dc.contributor.author (Authors) | Chang, Meng Yi | en_US |
| dc.creator (作者) | 張孟溢 | zh_TW |
| dc.creator (作者) | Chang, Meng Yi | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 13:43:01 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 13:43:01 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 13:43:01 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097351007 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49553 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 97351007 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | We investigate the spillover of industry effect in Taiwan stock market. Using a generalized vector autoregressive where forecast-error variance decompositions are invariant to variable ordering, we objectively propose measures of both total and directional spillovers on return and volatility daily data. In full-sample analysis, there is a heavy spillover effect in the interaction between stock market and industries. The stock market acts as a receiver from the information diffused from the industries, but the industries could not be confirmed as spillover outputer or inputer. The rolling-sample findings also pinpoint the high spillovers during the financial events. Finally, conducting the robustness test, we divide the sample periods into subperiods and switch the daily data toward weekly and monthly data, then obtaining the consistent results with prior inference. | en_US |
| dc.description.tableofcontents | Chapter 1. Introduction 1Chapter 2. Generalized Spillover Definition and Measurement5Chapter 3. Data 9Chapter 4. Empirical study in Taiwan market 114.1 Full- sample spillover analysis 4.2 Rolling-sample spillover analysis Chapter 5. Robustness 195.1 Subperiods5.2 Weekly and monthly data Chapter 6. Conclusion 25References | zh_TW |
| dc.format.extent | 1135172 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097351007 | en_US |
| dc.subject (關鍵詞) | 外溢效果 | zh_TW |
| dc.subject (關鍵詞) | 一般化向量自我相關模型 | zh_TW |
| dc.subject (關鍵詞) | 產業 | zh_TW |
| dc.subject (關鍵詞) | 波動 | zh_TW |
| dc.subject (關鍵詞) | 報酬 | zh_TW |
| dc.subject (關鍵詞) | Spillover | en_US |
| dc.subject (關鍵詞) | generalized VAR | en_US |
| dc.subject (關鍵詞) | industry | en_US |
| dc.subject (關鍵詞) | volatility | en_US |
| dc.subject (關鍵詞) | return | en_US |
| dc.title (題名) | 台灣股票市場的產業外溢效果 | zh_TW |
| dc.title (題名) | Spillover of industry effect in Taiwan stock market | en_US |
| dc.type (資料類型) | thesis | en |
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